Good point! Since I allow to use dash without extra roll, then failure also mean no extra roll when dashing.
I usually do lower than 5 = fall, 5-9 = can't move and 10 = succeed (that's the handling that's suggested in Lost Mine of Phandelver for a particular situation).
It's hard to think of a setback that still involves progress. Like "you manage to climb the rope, but you burned your hands, let's roll 1d6 fire damage" doesn't seem to make much sense. And I'm not a big fan of randomly make monsters appear as setback either. Basically wasting time is progress with setback too, but in combat it just means setting out a round.
Well, sure, the setback needs to make sense but... what if the setback is "you make it further up the wall but..."
a huge chunk of rock from the unstable section your character is climbing breaks away and crashes to the floor making a lot of noise (possibly alerting others) and/or making further climbs much more difficult as the section is more unstable (disadvantages on the further checks) and/or making the ledge above unstable.
I use setbacks when it helps add to the scene more of the sense of "problem" and drama than just failure would. if "just failure" is boring, go with setback. That prevents in my experience treating "uncertain outcomes" as trivial.
"All the characters are searching the room? Everyone? Great! Roll your checks and let me know who fail?" and "everybody is trying insight checks to see if the merchant is lying? GREAT! Roll your checks and let me know who fail?" get much different reactions in a game where "progress with setback" is established.